Gary Gensler, Chair of the SEC, delivered prepared comments to the Financial Stability Oversight Council on June 11, in the main reiterating that the SOFR index is based on a large number of observable transactions but also criticizing the Bloomberg Short-Term Bank Yield Index (BSBY) as a LIBOR alternative. SOFR’s reliance on a broad base of observable transactions has, of course, been well-telegraphed since 2017 when a New York Fed-convened committee identified the index as its preferred replacement rate. An introduction to BSBY, including a more fulsome explanation of source transactions and supporting historical daily transaction volume, can be found here. Gensler’s comments can be found here.
